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Hit Parade
(116405505)

Created by: ML7 ML7
Started: 02/2018
Futures
Last trade: Today
Trading style: Futures Short Term

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $200.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
111.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(25.4%)
Max Drawdown
868
Num Trades
60.7%
Win Trades
1.3 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +19.7%+21.9%+16.3%+7.3%(4.7%)+3.1%+8.3%(13.4%)+17.5%+6.6%(6.3%)+97.0%
2019+17.7%+6.5%(6.3%)                                                      +17.6%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 1,497 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/19 15:01 @RTYM9 Russell 2000 CME SHORT 1 1525.20 3/22 15:04 1522.60 0.03%
Trade id #123040500
Max drawdown($9)
Time3/22/19 15:03
Quant open-1
Worst price1525.40
Drawdown as % of equity-0.03%
$124
Includes Typical Broker Commissions trade costs of $6.00
3/22/19 14:23 @ESM9 E-MINI S&P 500 SHORT 1 2822.25 3/22 14:33 2819.00 0.24%
Trade id #123039851
Max drawdown($75)
Time3/22/19 14:29
Quant open-1
Worst price2823.75
Drawdown as % of equity-0.24%
$159
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 13:13 @ESM9 E-MINI S&P 500 SHORT 1 2816.00 3/22 13:54 2813.50 0.39%
Trade id #123038124
Max drawdown($125)
Time3/22/19 13:33
Quant open-1
Worst price2818.50
Drawdown as % of equity-0.39%
$121
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 12:57 @ESM9 E-MINI S&P 500 LONG 1 2813.11 3/22 13:01 2818.97 n/a $289
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 11:34 @ESM9 E-MINI S&P 500 SHORT 1 2823.90 3/22 11:39 2820.63 0.1%
Trade id #123034077
Max drawdown($29)
Time3/22/19 11:37
Quant open-1
Worst price2824.50
Drawdown as % of equity-0.10%
$160
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 11:27 @ESM9 E-MINI S&P 500 SHORT 1 2826.25 3/22 11:31 2826.54 0.12%
Trade id #123033673
Max drawdown($37)
Time3/22/19 11:30
Quant open-1
Worst price2827.00
Drawdown as % of equity-0.12%
($19)
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 10:59 @ESM9 E-MINI S&P 500 SHORT 1 2828.50 3/22 11:14 2827.65 0.12%
Trade id #123032541
Max drawdown($37)
Time3/22/19 11:02
Quant open-1
Worst price2829.25
Drawdown as % of equity-0.12%
$38
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 10:41 @ESM9 E-MINI S&P 500 SHORT 1 2835.50 3/22 10:54 2829.75 0.16%
Trade id #123031932
Max drawdown($50)
Time3/22/19 10:45
Quant open-1
Worst price2836.50
Drawdown as % of equity-0.16%
$284
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 10:38 @ESM9 E-MINI S&P 500 LONG 1 2839.39 3/22 10:40 2836.00 0.54%
Trade id #123031771
Max drawdown($169)
Time3/22/19 10:40
Quant open0
Worst price2836.00
Drawdown as % of equity-0.54%
($173)
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 10:02 @ESM9 E-MINI S&P 500 SHORT 1 2835.57 3/22 10:36 2837.68 1.27%
Trade id #123030444
Max drawdown($396)
Time3/22/19 10:22
Quant open-1
Worst price2843.50
Drawdown as % of equity-1.27%
($110)
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 9:41 @ESM9 E-MINI S&P 500 LONG 1 2850.87 3/22 9:44 2847.89 0.47%
Trade id #123029446
Max drawdown($149)
Time3/22/19 9:44
Quant open0
Worst price2847.89
Drawdown as % of equity-0.47%
($153)
Includes Typical Broker Commissions trade costs of $4.02
3/22/19 8:59 @ESM9 E-MINI S&P 500 LONG 1 2848.50 3/22 9:18 2845.21 0.56%
Trade id #123028214
Max drawdown($175)
Time3/22/19 9:18
Quant open1
Worst price2845.00
Drawdown as % of equity-0.56%
($168)
Includes Typical Broker Commissions trade costs of $4.02
3/21/19 12:04 @RTYM9 Russell 2000 CME LONG 1 1572.20 3/21 16:06 1567.90 1.43%
Trade id #123015989
Max drawdown($449)
Time3/21/19 15:18
Quant open1
Worst price1563.20
Drawdown as % of equity-1.43%
($221)
Includes Typical Broker Commissions trade costs of $6.00
3/21/19 11:26 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7469.43 3/21 11:42 7480.00 0.36%
Trade id #123014741
Max drawdown($113)
Time3/21/19 11:31
Quant open1
Worst price7463.75
Drawdown as % of equity-0.36%
$207
Includes Typical Broker Commissions trade costs of $4.02
3/21/19 11:14 @RTYM9 Russell 2000 CME LONG 1 1568.64 3/21 11:25 1571.95 0.04%
Trade id #123014405
Max drawdown($11)
Time3/21/19 11:16
Quant open1
Worst price1568.40
Drawdown as % of equity-0.04%
$160
Includes Typical Broker Commissions trade costs of $6.00
3/21/19 7:59 @ESM9 E-MINI S&P 500 SHORT 1 2816.25 3/21 10:42 2841.00 4.13%
Trade id #123010039
Max drawdown($1,300)
Time3/21/19 10:36
Quant open-1
Worst price2842.25
Drawdown as % of equity-4.13%
($1,242)
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 14:56 @ESM9 E-MINI S&P 500 LONG 1 2846.26 3/20 15:31 2835.50 1.63%
Trade id #123000394
Max drawdown($538)
Time3/20/19 15:31
Quant open0
Worst price2835.50
Drawdown as % of equity-1.63%
($542)
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 14:07 @ESM9 E-MINI S&P 500 LONG 1 2838.87 3/20 14:29 2844.75 0.47%
Trade id #122998538
Max drawdown($155)
Time3/20/19 14:22
Quant open1
Worst price2835.75
Drawdown as % of equity-0.47%
$290
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 10:43 @ESM9 E-MINI S&P 500 LONG 1 2829.77 3/20 11:15 2830.00 0.12%
Trade id #122990418
Max drawdown($38)
Time3/20/19 10:45
Quant open1
Worst price2829.00
Drawdown as % of equity-0.12%
$8
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 10:40 @ESM9 E-MINI S&P 500 LONG 1 2829.75 3/20 10:42 2827.06 0.41%
Trade id #122990234
Max drawdown($135)
Time3/20/19 10:42
Quant open0
Worst price2827.06
Drawdown as % of equity-0.41%
($139)
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 10:38 @ESM9 E-MINI S&P 500 SHORT 1 2827.00 3/20 10:40 2829.35 0.36%
Trade id #122990132
Max drawdown($118)
Time3/20/19 10:40
Quant open0
Worst price2829.35
Drawdown as % of equity-0.36%
($122)
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 10:27 @ESM9 E-MINI S&P 500 LONG 1 2828.51 3/20 10:35 2827.50 0.15%
Trade id #122989785
Max drawdown($50)
Time3/20/19 10:35
Quant open0
Worst price2827.50
Drawdown as % of equity-0.15%
($54)
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 10:12 @ESM9 E-MINI S&P 500 SHORT 1 2828.50 3/20 10:25 2828.83 0.08%
Trade id #122989357
Max drawdown($25)
Time3/20/19 10:15
Quant open-1
Worst price2829.00
Drawdown as % of equity-0.08%
($20)
Includes Typical Broker Commissions trade costs of $4.02
3/20/19 10:07 @ESM9 E-MINI S&P 500 LONG 1 2830.50 3/20 10:12 2828.93 0.24%
Trade id #122989146
Max drawdown($79)
Time3/20/19 10:12
Quant open0
Worst price2828.93
Drawdown as % of equity-0.24%
($83)
Includes Typical Broker Commissions trade costs of $4.02
3/19/19 9:31 @ESM9 E-MINI S&P 500 LONG 1 2850.75 3/19 11:57 2855.00 0.95%
Trade id #122969057
Max drawdown($312)
Time3/19/19 11:00
Quant open1
Worst price2844.50
Drawdown as % of equity-0.95%
$209
Includes Typical Broker Commissions trade costs of $4.02
3/18/19 10:47 @ESM9 E-MINI S&P 500 LONG 1 2837.25 3/18 10:50 2839.75 n/a $121
Includes Typical Broker Commissions trade costs of $4.02
3/18/19 9:39 @ESM9 E-MINI S&P 500 LONG 1 2832.75 3/18 9:47 2837.00 0.11%
Trade id #122950804
Max drawdown($37)
Time3/18/19 9:41
Quant open1
Worst price2832.00
Drawdown as % of equity-0.11%
$209
Includes Typical Broker Commissions trade costs of $4.02
3/15/19 14:15 @ESM9 E-MINI S&P 500 LONG 1 2829.25 3/15 14:33 2829.64 0.23%
Trade id #122931743
Max drawdown($75)
Time3/15/19 14:25
Quant open1
Worst price2827.75
Drawdown as % of equity-0.23%
$16
Includes Typical Broker Commissions trade costs of $4.02
3/15/19 11:11 @ESM9 E-MINI S&P 500 LONG 1 2822.27 3/15 12:12 2832.86 0.12%
Trade id #122927641
Max drawdown($38)
Time3/15/19 11:13
Quant open1
Worst price2821.50
Drawdown as % of equity-0.12%
$526
Includes Typical Broker Commissions trade costs of $4.02
3/15/19 10:22 @ESM9 E-MINI S&P 500 LONG 1 2821.51 3/15 10:40 2818.25 0.58%
Trade id #122926545
Max drawdown($187)
Time3/15/19 10:40
Quant open1
Worst price2817.75
Drawdown as % of equity-0.58%
($167)
Includes Typical Broker Commissions trade costs of $4.02

Statistics

  • Strategy began
    2/8/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    407.02
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    868
  • # Profitable
    527
  • % Profitable
    60.70%
  • Avg trade duration
    33.2 minutes
  • Max peak-to-valley drawdown
    25.39%
  • drawdown period
    Sept 06, 2018 - Oct 17, 2018
  • Annual Return (Compounded)
    105.8%
  • Avg win
    $187.55
  • Avg loss
    $224.79
  • Model Account Values (Raw)
  • Cash
    $32,187
  • Margin Used
    $0
  • Buying Power
    $32,187
  • Ratios
  • W:L ratio
    1.29:1
  • Sharpe Ratio
    4.027
  • Sortino Ratio
    6.927
  • Calmar Ratio
    14.265
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.13900
  • Return Statistics
  • Ann Return (w trading costs)
    105.8%
  • Ann Return (Compnd, No Fees)
    184.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    986
  • Popularity (Last 6 weeks)
    995
  • C2 Score
    91.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $225
  • Avg Win
    $188
  • # Winners
    527
  • # Losers
    341
  • % Winners
    60.7%
  • Frequency
  • Avg Position Time (mins)
    33.22
  • Avg Position Time (hrs)
    0.55
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17580
  • SD
    0.40355
  • Sharpe ratio (Glass type estimate)
    2.91362
  • Sharpe ratio (Hedges UMVUE)
    2.72698
  • df
    12.00000
  • t
    3.03259
  • p
    0.17066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90327
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.29180
  • Upside Potential Ratio
    20.25260
  • Upside part of mean
    1.23436
  • Downside part of mean
    -0.05856
  • Upside SD
    0.51169
  • Downside SD
    0.06095
  • N nonnegative terms
    12.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.06395
  • Mean of criterion
    1.17580
  • SD of predictor
    0.14052
  • SD of criterion
    0.40355
  • Covariance
    0.02089
  • r
    0.36832
  • b (slope, estimate of beta)
    1.05776
  • a (intercept, estimate of alpha)
    1.10816
  • Mean Square Error
    0.15356
  • DF error
    11.00000
  • t(b)
    1.31395
  • p(b)
    0.10780
  • t(a)
    2.91624
  • p(a)
    0.00702
  • Lowerbound of 95% confidence interval for beta
    -0.71409
  • Upperbound of 95% confidence interval for beta
    2.82961
  • Lowerbound of 95% confidence interval for alpha
    0.27179
  • Upperbound of 95% confidence interval for alpha
    1.94453
  • Treynor index (mean / b)
    1.11159
  • Jensen alpha (a)
    1.10816
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06031
  • SD
    0.35285
  • Sharpe ratio (Glass type estimate)
    3.00495
  • Sharpe ratio (Hedges UMVUE)
    2.81246
  • df
    12.00000
  • t
    3.12765
  • p
    0.16493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.18774
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00609
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.87950
  • Upside Potential Ratio
    17.84030
  • Upside part of mean
    1.12066
  • Downside part of mean
    -0.06035
  • Upside SD
    0.45240
  • Downside SD
    0.06282
  • N nonnegative terms
    12.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.05465
  • Mean of criterion
    1.06031
  • SD of predictor
    0.13950
  • SD of criterion
    0.35285
  • Covariance
    0.01737
  • r
    0.35281
  • b (slope, estimate of beta)
    0.89242
  • a (intercept, estimate of alpha)
    1.01153
  • Mean Square Error
    0.11892
  • DF error
    11.00000
  • t(b)
    1.25057
  • p(b)
    0.11852
  • t(a)
    3.03216
  • p(a)
    0.00570
  • Lowerbound of 95% confidence interval for beta
    -0.67822
  • Upperbound of 95% confidence interval for beta
    2.46305
  • Lowerbound of 95% confidence interval for alpha
    0.27728
  • Upperbound of 95% confidence interval for alpha
    1.74579
  • Treynor index (mean / b)
    1.18813
  • Jensen alpha (a)
    1.01153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07613
  • Expected Shortfall on VaR
    0.11401
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00126
  • Expected Shortfall on VaR
    0.00720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.93889
  • Quartile 1
    1.03688
  • Median
    1.05643
  • Quartile 3
    1.17857
  • Maximum
    1.37270
  • Mean of quarter 1
    0.99887
  • Mean of quarter 2
    1.05422
  • Mean of quarter 3
    1.11191
  • Mean of quarter 4
    1.27007
  • Inter Quartile Range
    0.14169
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06111
  • Quartile 1
    0.06111
  • Median
    0.06111
  • Quartile 3
    0.06111
  • Maximum
    0.06111
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.07765
  • Compounded annual return (geometric extrapolation)
    1.96896
  • Calmar ratio (compounded annual return / max draw down)
    32.22070
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    17.27060
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04788
  • SD
    0.25955
  • Sharpe ratio (Glass type estimate)
    4.03730
  • Sharpe ratio (Hedges UMVUE)
    4.02677
  • df
    288.00000
  • t
    4.24023
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.13890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.92897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.92169
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.92707
  • Upside Potential Ratio
    14.03550
  • Upside part of mean
    2.12320
  • Downside part of mean
    -1.07532
  • Upside SD
    0.22009
  • Downside SD
    0.15127
  • N nonnegative terms
    195.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    289.00000
  • Mean of predictor
    0.05918
  • Mean of criterion
    1.04788
  • SD of predictor
    0.16158
  • SD of criterion
    0.25955
  • Covariance
    -0.00712
  • r
    -0.16967
  • b (slope, estimate of beta)
    -0.27255
  • a (intercept, estimate of alpha)
    1.06400
  • Mean Square Error
    0.06566
  • DF error
    287.00000
  • t(b)
    -2.91669
  • p(b)
    0.99809
  • t(a)
    4.36013
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.45648
  • Upperbound of 95% confidence interval for beta
    -0.08863
  • Lowerbound of 95% confidence interval for alpha
    0.58369
  • Upperbound of 95% confidence interval for alpha
    1.54433
  • Treynor index (mean / b)
    -3.84471
  • Jensen alpha (a)
    1.06401
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01245
  • SD
    0.25814
  • Sharpe ratio (Glass type estimate)
    3.92216
  • Sharpe ratio (Hedges UMVUE)
    3.91194
  • df
    288.00000
  • t
    4.11930
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.02543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80525
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.59976
  • Upside Potential Ratio
    13.68460
  • Upside part of mean
    2.09931
  • Downside part of mean
    -1.08686
  • Upside SD
    0.21629
  • Downside SD
    0.15341
  • N nonnegative terms
    195.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    289.00000
  • Mean of predictor
    0.04616
  • Mean of criterion
    1.01245
  • SD of predictor
    0.16162
  • SD of criterion
    0.25814
  • Covariance
    -0.00708
  • r
    -0.16972
  • b (slope, estimate of beta)
    -0.27106
  • a (intercept, estimate of alpha)
    1.02496
  • Mean Square Error
    0.06494
  • DF error
    287.00000
  • t(b)
    -2.91752
  • p(b)
    0.99810
  • t(a)
    4.22358
  • p(a)
    0.00002
  • Lowerbound of 95% confidence interval for beta
    -0.45393
  • Upperbound of 95% confidence interval for beta
    -0.08819
  • Lowerbound of 95% confidence interval for alpha
    0.54731
  • Upperbound of 95% confidence interval for alpha
    1.50262
  • Treynor index (mean / b)
    -3.73513
  • Jensen alpha (a)
    1.02496
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02212
  • Expected Shortfall on VaR
    0.02860
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00694
  • Expected Shortfall on VaR
    0.01531
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    289.00000
  • Minimum
    0.95015
  • Quartile 1
    0.99522
  • Median
    1.00497
  • Quartile 3
    1.01204
  • Maximum
    1.07611
  • Mean of quarter 1
    0.98440
  • Mean of quarter 2
    1.00140
  • Mean of quarter 3
    1.00799
  • Mean of quarter 4
    1.02291
  • Inter Quartile Range
    0.01682
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.03114
  • Mean of outliers low
    0.96425
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.03114
  • Mean of outliers high
    1.04856
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12010
  • VaR(95%) (moments method)
    0.01333
  • Expected Shortfall (moments method)
    0.01997
  • Extreme Value Index (regression method)
    -0.14475
  • VaR(95%) (regression method)
    0.01492
  • Expected Shortfall (regression method)
    0.01978
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00581
  • Median
    0.02354
  • Quartile 3
    0.05667
  • Maximum
    0.12830
  • Mean of quarter 1
    0.00300
  • Mean of quarter 2
    0.01240
  • Mean of quarter 3
    0.03712
  • Mean of quarter 4
    0.08678
  • Inter Quartile Range
    0.05086
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.30026
  • VaR(95%) (moments method)
    0.09664
  • Expected Shortfall (moments method)
    0.10041
  • Extreme Value Index (regression method)
    -0.28855
  • VaR(95%) (regression method)
    0.10161
  • Expected Shortfall (regression method)
    0.11761
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.94962
  • Compounded annual return (geometric extrapolation)
    1.83023
  • Calmar ratio (compounded annual return / max draw down)
    14.26480
  • Compounded annual return / average of 25% largest draw downs
    21.09100
  • Compounded annual return / Expected Shortfall lognormal
    64.00120
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67693
  • SD
    0.25181
  • Sharpe ratio (Glass type estimate)
    2.68830
  • Sharpe ratio (Hedges UMVUE)
    2.67276
  • df
    130.00000
  • t
    1.90091
  • p
    0.41777
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.47420
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.46354
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.61043
  • Upside Potential Ratio
    12.42590
  • Upside part of mean
    1.82446
  • Downside part of mean
    -1.14752
  • Upside SD
    0.20764
  • Downside SD
    0.14683
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08173
  • Mean of criterion
    0.67693
  • SD of predictor
    0.19473
  • SD of criterion
    0.25181
  • Covariance
    -0.00742
  • r
    -0.15138
  • b (slope, estimate of beta)
    -0.19575
  • a (intercept, estimate of alpha)
    0.66094
  • Mean Square Error
    0.06243
  • DF error
    129.00000
  • t(b)
    -1.73939
  • p(b)
    0.59600
  • t(a)
    1.86976
  • p(a)
    0.39705
  • Lowerbound of 95% confidence interval for beta
    -0.41840
  • Upperbound of 95% confidence interval for beta
    0.02691
  • Lowerbound of 95% confidence interval for alpha
    -0.03845
  • Upperbound of 95% confidence interval for alpha
    1.36032
  • Treynor index (mean / b)
    -3.45823
  • Jensen alpha (a)
    0.66094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64491
  • SD
    0.24989
  • Sharpe ratio (Glass type estimate)
    2.58080
  • Sharpe ratio (Hedges UMVUE)
    2.56588
  • df
    130.00000
  • t
    1.82490
  • p
    0.42098
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36544
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35518
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.33819
  • Upside Potential Ratio
    12.13030
  • Upside part of mean
    1.80326
  • Downside part of mean
    -1.15836
  • Upside SD
    0.20361
  • Downside SD
    0.14866
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10055
  • Mean of criterion
    0.64491
  • SD of predictor
    0.19473
  • SD of criterion
    0.24989
  • Covariance
    -0.00739
  • r
    -0.15182
  • b (slope, estimate of beta)
    -0.19482
  • a (intercept, estimate of alpha)
    0.62532
  • Mean Square Error
    0.06148
  • DF error
    129.00000
  • t(b)
    -1.74458
  • p(b)
    0.59628
  • t(a)
    1.78240
  • p(a)
    0.40170
  • Lowerbound of 95% confidence interval for beta
    -0.41577
  • Upperbound of 95% confidence interval for beta
    0.02613
  • Lowerbound of 95% confidence interval for alpha
    -0.06880
  • Upperbound of 95% confidence interval for alpha
    1.31944
  • Treynor index (mean / b)
    -3.31022
  • Jensen alpha (a)
    0.62532
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02267
  • Expected Shortfall on VaR
    0.02894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00844
  • Expected Shortfall on VaR
    0.01733
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96154
  • Quartile 1
    0.99392
  • Median
    1.00308
  • Quartile 3
    1.00993
  • Maximum
    1.07611
  • Mean of quarter 1
    0.98440
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00634
  • Mean of quarter 4
    1.02075
  • Inter Quartile Range
    0.01602
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96576
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04508
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06427
  • VaR(95%) (moments method)
    0.01435
  • Expected Shortfall (moments method)
    0.01892
  • Extreme Value Index (regression method)
    -0.21557
  • VaR(95%) (regression method)
    0.01700
  • Expected Shortfall (regression method)
    0.02160
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00748
  • Median
    0.02166
  • Quartile 3
    0.06488
  • Maximum
    0.09104
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.01346
  • Mean of quarter 3
    0.04011
  • Mean of quarter 4
    0.08480
  • Inter Quartile Range
    0.05739
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.56050
  • VaR(95%) (moments method)
    0.08874
  • Expected Shortfall (moments method)
    0.08874
  • Extreme Value Index (regression method)
    -1.78276
  • VaR(95%) (regression method)
    0.09606
  • Expected Shortfall (regression method)
    0.09690
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79982
  • Compounded annual return (geometric extrapolation)
    0.95974
  • Calmar ratio (compounded annual return / max draw down)
    10.54180
  • Compounded annual return / average of 25% largest draw downs
    11.31800
  • Compounded annual return / Expected Shortfall lognormal
    33.16390

Strategy Description

The system trades mainly the ES contract strictly on an intra-day basis.
A position can be opened prior to the 9:30 EST open, but all positions will be closed by 4:15 EST.
Only 1 contract will be opened at all times.
The strategy represents a rule-based application of a common technical indicator.
It has more of a discretionary bent in that I need to filter the indicator signals based on my read of the market conditions.
Stops on open positions are dictated by indicator reversals, and they can be as wide as 20 ES points, though usually will not exceed 15 points.

Summary Statistics

Strategy began
2018-02-08
Suggested Minimum Capital
$25,000
# Trades
868
# Profitable
527
% Profitable
60.7%
Correlation S&P500
-0.139
Sharpe Ratio
4.027

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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